Australian All Ordinaries Stock Index has been in the headline since 1997 for its tear jerking effect on the stock exchange. Present work attempts to develop a realistic time-series model to explain the behavior of the stock price data during 2 January 1997 to 29 December 2006 collected from...

The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments...